Tests de racines unitaires multiples et saisonnalité
Abstract[eng] Multiple unit root tests and seasonality. . To test multiple unit roots, Dickey et Pantula have shown that the usual upward testing sequence, which consists in testing first for one unit root, is statistically false. They built a downward testing sequence where the highest integration level is tested first. The aim of this paper is to extend this result to the case of seasonal unit roots. [fre] Tests de racines unitaires multiples et saisonnalitÃ©. . Pour tester la prÃ©sence de racines unitaires multiples, Dickey et Pantula ont montrÃ© que la procÃ©dure sÃ©quentielle ascendante, qui consiste Ã tester en premier la prÃ©sence d'une seule racine unitaire, est statistiquement fausse. Ils ont construit un test sÃ©quentiel descendant oÃ¹ l'on teste en premier le plus grand nombre de racines unitaires possibles. L'objet de cet article est d'Ã©tendre ce rÃ©sultat au cas oÃ¹ les racines sont saisonniÃ¨res.
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue économique.
Volume (Year): n° 48 (1997)
Issue (Month): 3 ()
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Web page: http://www.cairn.info/revue-economique.htm
Other versions of this item:
- Fabrice Barthélémy, 1997. "Tests de racines unitaires multiples et saisonnalité," Revue Économique, Programme National Persée, vol. 48(3), pages 673-683.
- F. Barthélémy, 1997. "Tests de racines unitaires multiples et saisonnalité," THEMA Working Papers 97-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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